Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Oct 07 (1D) | Oct 08 (2D) | Oct 09 (3D) | Oct 10 (4D) | Oct 13 (7D) | Oct 14 (8D) | Oct 15 (9D) | Oct 16 (10D) | Oct 17 (11D) | Oct 20 (14D) | Oct 24 (18D) | Oct 31 (25D) | Nov 07 (32D) | Nov 14 (39D) | Nov 21 (46D) | Nov 28 (53D) | Dec 05 (60D) | Dec 12 (67D) | Dec 19 (74D) | Dec 26 (81D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 666.482 | 664.069 | 662.216 | 660.655 | 656.892 | 655.827 | 654.827 | 653.882 | 652.982 | 650.505 | 647.586 | 643.172 | 639.345 | 635.917 | 632.786 | 629.885 | 627.17 | 624.61 | 622.18 | 619.862 |
| upper | 678.138 | 680.551 | 682.404 | 683.965 | 687.728 | 688.793 | 689.793 | 690.738 | 691.638 | 694.115 | 697.034 | 701.448 | 705.275 | 708.703 | 711.834 | 714.735 | 717.45 | 720.01 | 722.44 | 724.758 |
| expected move | 5.828 | 8.241 | 10.094 | 11.655 | 15.418 | 16.483 | 17.483 | 18.428 | 19.328 | 21.805 | 24.724 | 29.138 | 32.965 | 36.393 | 39.524 | 42.425 | 45.14 | 47.70 | 50.13 | 52.448 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
